/// <summary>
/// Creates an identifier for an ETD option instrument.
/// <para>
/// This takes into account the expiry of the underlying instrument. If the underlying expiry
/// is the same as the expiry of the option, the identifier is the same as the normal one.
/// Otherwise, the underlying expiry is added after the option expiry. For example:
/// {@code 'OG-ETD~O-ECAG-OGBS-201706-P1.50-U201709'}.
///
/// </para>
/// </summary>
/// <param name="exchangeId"> the MIC code of the exchange where the instruments are traded </param>
/// <param name="contractCode"> the code supplied by the exchange for use in clearing and margining, such as in SPAN </param>
/// <param name="expiryMonth"> the month of expiry </param>
/// <param name="variant"> the variant of the ETD, such as 'Monthly', 'Weekly, 'Daily' or 'Flex' </param>
/// <param name="version"> the non-negative version, zero by default </param>
/// <param name="putCall"> the Put/Call flag </param>
/// <param name="strikePrice"> the strike price </param>
/// <param name="underlyingExpiryMonth"> the expiry of the underlying instrument, such as a future, may be null </param>
/// <returns> the identifier </returns>
public static SecurityId optionId(ExchangeId exchangeId, EtdContractCode contractCode, YearMonth expiryMonth, EtdVariant variant, int version, PutCall putCall, double strikePrice, YearMonth underlyingExpiryMonth)
{
ArgChecker.notNull(exchangeId, "exchangeId");
ArgChecker.notNull(contractCode, "contractCode");
ArgChecker.notNull(expiryMonth, "expiryMonth");
ArgChecker.notNull(variant, "variant");
ArgChecker.notNull(putCall, "putCall");
string putCallStr = putCall == PutCall.PUT ? "P" : "C";
string versionCode = version > 0 ? "V" + version + SEPARATOR : "";
NumberFormat f = NumberFormat.getIntegerInstance(Locale.ENGLISH);
f.GroupingUsed = false;
f.MaximumFractionDigits = 8;
string strikeStr = f.format(strikePrice).replace('-', 'M');
string underlying = "";
if (underlyingExpiryMonth != null && !underlyingExpiryMonth.Equals(expiryMonth))
{
underlying = SEPARATOR + "U" + underlyingExpiryMonth.format(YM_FORMAT);
}
string id = (new StringBuilder(40)).Append(OPT_PREFIX).Append(exchangeId).Append(SEPARATOR).Append(contractCode).Append(SEPARATOR).Append(expiryMonth.format(YM_FORMAT)).Append(variant.Code).Append(SEPARATOR).Append(versionCode).Append(putCallStr).Append(strikeStr).Append(underlying).ToString();
return(SecurityId.of(ETD_SCHEME, id));
}
//-------------------------------------------------------------------------
public virtual void test_equalsHashCode()
{
EtdContractCode a = EtdContractCode.of("test");
EtdContractCode a2 = EtdContractCode.of("test");
EtdContractCode b = EtdContractCode.of("test2");
assertEquals(a.Equals(a), true);
assertEquals(a.Equals(a2), true);
assertEquals(a.Equals(b), false);
assertEquals(a.Equals(null), false);
assertEquals(a.Equals(ANOTHER_TYPE), false);
}
/// <summary>
/// Creates an identifier for an ETD future instrument.
/// <para>
/// A typical monthly ETD will have the format:
/// {@code 'OG-ETD~O-ECAG-OGBS-201706'}.
/// </para>
/// <para>
/// A more complex flex ETD (12th of the month, Physical settlement) will have the format:
/// {@code 'OG-ETD~O-ECAG-OGBS-20170612E'}.
///
/// </para>
/// </summary>
/// <param name="exchangeId"> the MIC code of the exchange where the instruments are traded </param>
/// <param name="contractCode"> the code supplied by the exchange for use in clearing and margining, such as in SPAN </param>
/// <param name="expiryMonth"> the month of expiry </param>
/// <param name="variant"> the variant of the ETD, such as 'Monthly', 'Weekly, 'Daily' or 'Flex' </param>
/// <returns> the identifier </returns>
public static SecurityId futureId(ExchangeId exchangeId, EtdContractCode contractCode, YearMonth expiryMonth, EtdVariant variant)
{
ArgChecker.notNull(exchangeId, "exchangeId");
ArgChecker.notNull(contractCode, "contractCode");
ArgChecker.notNull(expiryMonth, "expiryMonth");
ArgChecker.isTrue(expiryMonth.Year >= 1000 && expiryMonth.Year <= 9999, "Invalid expiry year: ", expiryMonth);
ArgChecker.notNull(variant, "variant");
string id = (new StringBuilder(40)).Append(FUT_PREFIX).Append(exchangeId).Append(SEPARATOR).Append(contractCode).Append(SEPARATOR).Append(expiryMonth.format(YM_FORMAT)).Append(variant.Code).ToString();
return(SecurityId.of(ETD_SCHEME, id));
}
public virtual void test_of()
{
EtdContractCode test = EtdContractCode.of("test");
assertEquals(test.ToString(), "test");
}
internal static EtdContractSpec sut2()
{
return(EtdContractSpec.builder().type(EtdType.OPTION).exchangeId(ExchangeIds.IFEN).contractCode(EtdContractCode.of("BAR")).description("A test option template").priceInfo(SecurityPriceInfo.of(Currency.EUR, 10)).addAttribute(AttributeType.NAME, "NAME").build());
}
//-------------------------------------------------------------------------
internal static EtdContractSpec sut()
{
return(EtdContractSpec.builder().id(EtdContractSpecId.of("test", "123")).type(EtdType.FUTURE).exchangeId(ExchangeIds.ECAG).contractCode(EtdContractCode.of("FOO")).description("A test future template").priceInfo(SecurityPriceInfo.of(Currency.GBP, 100)).build());
}
/// <summary>
/// Sets the code of the contract specification as given by the exchange in clearing and margining.
/// </summary>
/// <param name="contractCode"> the new value, not empty </param>
/// <returns> this, for chaining, not null </returns>
public EtdContractSpecBuilder contractCode(EtdContractCode contractCode)
{
JodaBeanUtils.notNull(contractCode, "contractCode");
this.contractCode_Renamed = contractCode;
return(this);
}
//-------------------------------------------------------------------------
/// <summary>
/// Creates an identifier for a contract specification.
/// <para>
/// This will have the format:
/// {@code 'OG-ETD~F-ECAG-FGBS'} or {@code 'OG-ETD~O-ECAG-OGBS'}.
///
/// </para>
/// </summary>
/// <param name="type"> type of the contract - future or option </param>
/// <param name="exchangeId"> the MIC code of the exchange where the instruments are traded </param>
/// <param name="contractCode"> the code supplied by the exchange for use in clearing and margining, such as in SPAN </param>
/// <returns> the identifier </returns>
public static EtdContractSpecId contractSpecId(EtdType type, ExchangeId exchangeId, EtdContractCode contractCode)
{
ArgChecker.notNull(type, "type");
ArgChecker.notNull(exchangeId, "exchangeId");
ArgChecker.notNull(contractCode, "contractCode");
switch (type.innerEnumValue)
{
case com.opengamma.strata.product.etd.EtdType.InnerEnum.FUTURE:
return(EtdContractSpecId.of(ETD_SCHEME, FUT_PREFIX + exchangeId + SEPARATOR + contractCode));
case com.opengamma.strata.product.etd.EtdType.InnerEnum.OPTION:
return(EtdContractSpecId.of(ETD_SCHEME, OPT_PREFIX + exchangeId + SEPARATOR + contractCode));
default:
throw new System.ArgumentException("Unknown ETD type: " + type);
}
}
/// <summary>
/// Creates an identifier for an ETD option instrument.
/// <para>
/// A typical monthly ETD with version zero will have the format:
/// {@code 'OG-ETD~O-ECAG-OGBS-201706-P1.50'}.
/// </para>
/// <para>
/// A more complex flex ETD (12th of the month, Cash settlement, European) with version two will have the format:
/// {@code 'OG-ETD~O-ECAG-OGBS-20170612CE-V2-P1.50'}.
///
/// </para>
/// </summary>
/// <param name="exchangeId"> the MIC code of the exchange where the instruments are traded </param>
/// <param name="contractCode"> the code supplied by the exchange for use in clearing and margining, such as in SPAN </param>
/// <param name="expiryMonth"> the month of expiry </param>
/// <param name="variant"> the variant of the ETD, such as 'Monthly', 'Weekly, 'Daily' or 'Flex' </param>
/// <param name="version"> the non-negative version, zero by default </param>
/// <param name="putCall"> the Put/Call flag </param>
/// <param name="strikePrice"> the strike price </param>
/// <returns> the identifier </returns>
public static SecurityId optionId(ExchangeId exchangeId, EtdContractCode contractCode, YearMonth expiryMonth, EtdVariant variant, int version, PutCall putCall, double strikePrice)
{
return(optionId(exchangeId, contractCode, expiryMonth, variant, version, putCall, strikePrice, null));
}
